Methodology

Our equity ranking model uses a unique blend of quantitative modeling and fundamental, top-down macro-analysis. It builds upon years of academic research, as well as our own in-house and third party expertise.

The quantitative portion of the model employs factors that have proven to be valuable in forecasting future excess returns. These return factors, ranging from valuation ratios to sentiment measures, help generate alpha for our clients. Quantitative analysis refers to business or financial analysis that aims to understand or predict behavior or events through the use of mathematical measurements and calculations, statistical modeling and research.

To calculate the overall ETS Score, stocks are first ranked according to each individual return factor. The resulting percentile score ranges from 0 to 100%, with 100% being the highest-ranked stock for that particular score.

These individual rankings are then combined using a dynamic weighting model to obtain the final ETS Score, which is also expressed as a percentile.

Finally, we leverage our relationship with third party research firms with expertise in quantitative modeling, top-down macroeconomic analysis to provide a sector and style overlay, which biases the overall ranking according to the current macro views.

Quantitative Analysis

In general terms, quantitative analysis can best be understood as simply a way of measuring or evaluating things through the examination of mathematical values of variables. The primary advantage of quantitative analysis is that it involves studying precise, definitive values that can easily be compared with each other, such as a company’s year-over-year revenues or earnings.

Stock Coverage

Coverage is provided for stocks traded on major exchanges in the countries of the MSCI World Developed Markets Index, provided that they have enough information to allow an accurate calculation of the ETS Score.

Competitive Advantage

Combines a wide variety of stock market anomalies using a sophisticated algorithm to generate a single metric that can be used to separate future winners from losers

Leverages third party as well as our own macro views to add a discretionary overlay on the quantitative model

Generates actionable investment ideas and produces innovative research in the field of equity trading strategies

ETS Disciplines

We have developed four distinct equity based disciplines. We manage two large-capitalization, one small/mid-capitalization and one all capitalization discipline. The Large Cap Core and Small/Mid Cap equity disciplines will typically hold three stocks per economic sector. Consequently, the total number of stocks held in these disciplines will equal 30. The Large Cap Value and All Cap disciplines will not force an equal weighting of the market’s economic sectors or limit the total number of stock holdings. The four ETS Disciplines are as follows: